L'objectif de cet article est de confronter deux mesures classiques du risque de défaillance de l'émetteur, la notation et l'écart de rentabilité. La première est attribuée par des agences spécialisées dans cette activité (Standard and Poor's et Moody's) alors que la seconde résulte du...

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price rocesses. In the more...

Testing for normality is of paramount importance in many areas of science since the Gaussian distribution is a key hypothesis in many models. As the use of semi–moments is increasing in physics, economics or finance, often to judge the distributional properties of a given sample, we propose a...

Using the event-study methodology and multivariate regressions, this paper examines the intensity of media coverage, its determinants and its marginal effect on stock returns following chemical disasters. To do this, we build an original dataset of chemical explosions that occurred worldwide...

This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as market makers. We find that: (1) the market...

Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The model for the mean-reverting time change is then generalized to include non-Gaussian models that...

Can investors with irrational beliefs be neglected as long as they are rational on average ? Does unbiased disagreement lead to trades that cancel out with no consequences on prices, as implicitly assumed by the traditional models ? We show in this paper that there is an important impact of...

Using a ten-year sample of IPOs undertaken on Euronext with various mechanisms, our study examines the relationship between initial returns and post-listing liquidity, and tests whether it is influenced by ownership structure and information asymmetry. According to most of our findings,...

This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in the spirit of Merton’s (1987) model of capital market...